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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

ANNEX XIV

Tables

Template

Table Code

Table Label

C 00.01

C 00.01

Nature of Report (COREP)

C 01.00

C 01.00

Capital Adequacy - Own funds definition

C 02.00

C 02.00

Capital Adequacy - Risk Exposure Amounts

C 03.00

C 03.00

Capital Adequacy - Ratios

C 04.00

C 04.00

Capital Adequacy - Memorandum Items

C 05.01

C 05.01

Capital Adequacy - Transitional provisions: Summary

C 05.02

C 05.02

Capital Adequacy - Transitional provisions: Grandfathered instruments constituting State aid

C 06.00

C 06.00

Group Solvency

C 07.00

C 07.00.a

Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements

C 07.00

C 07.00.b

Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit Risk

C 07.00

C 07.00.c

Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on Property

C 07.00

C 07.00.d

Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default

C 08.01

C 08.01.a

Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL

C 08.01

C 08.01.b

Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet

C 08.01

C 08.01.c

Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL (SMEs subject to supporting factor)

C 08.01

C 08.01.d

Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet (SMEs subject to supporting factor)

C 08.02

C 08.02

Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades

C 09.01

C 09.01.a

Geographical breakdown of exposures by residence of the obligor (SA exposures)

C 09.01

C 09.01.b

Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default

C 09.02

C 09.02

Geographical breakdown of exposures by residence of the obligor (IRB exposures)

C 09.03

C 09.03

Breakdown of total own funds requirements for credit risk of relevant credit exposures by country

C 10.01

C 10.01

Credit risk: Equity - IRB approaches to capital requirements - TOTAL

C 10.02

C 10.02

Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades

C 11.00

C 11.00

Settlement/Delivery risk

C 12.00

C 12.00

Credit risk: Securitisations - Standardised Approach to own funds requirements

C 13.00

C 13.00

Credit risk: Securitisations - IRB Approach to own funds requirements

C 14.00

C 14.00

Detailed information on securitisations

C 15.00

C 15.00

Exposures and losses from lending collateralised immovable property

C 16.00

C 16.00.a

Operational risk - Excluding AMA

C 16.00

C 16.00.b

Operational risk - AMA

C 17.00

C 17.00.a

Operational risks: Gross losses by business lines and event types in the last year

C 17.00

C 17.00.b

Operational risks: Thresholds applied in data collections

C 18.00

C 18.00

Market risk: Standardised Approach for traded debt instruments

C 19.00

C 19.00

Market risk: Standardised Approach for specific risk in securitisations

C 20.00

C 20.00

Market risk: Standardised Approach for specific risk in the correlation trading portfolio

C 21.00

C 21.00

Market risk: Standardised Approach for position risk in equities

C 22.00

C 22.00

Market risk: Standardised Approaches for foreign exchange risk

C 23.00

C 23.00

Market risk: Standardised Approach for position risk in commodities

C 24.00

C 24.00

Market risk: Internal models - Total

C 25.00

C 25.00

CVA RISK

C 26.00

C 26.00

Large exposures limits

C 27.00

C 27.00

Identification of the counterparty

C 28.00

C 28.00

Exposures in the non-trading and trading book

C 29.00

C 29.00

Detail of the exposures to individual clients within groups of connected clients

C 30.00

C 30.00

Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities

C 31.00

C 31.00

Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients

C 40.00

C 40.00

Alternative treatment of the Exposure Measure

C 41.00

C 41.00

On- and off-balance sheet items – additional breakdown of exposures

C 42.00

C 42.00

Alternative definition of capital

C 43.00

C 43.00.a

Breakdown of leverage ratio exposure measure components: Off-balance sheet items, derivatives, SFTs and trading book

C 43.00

C 43.00.b

Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (SA)

C 43.00

C 43.00.c

Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (IRB)

C 44.00

C 44.00

General Information

C 45.00

C 45.00.a

Leverage ratio calculation

C 45.00

C 45.00.b

Leverage ratio calculation - average

C 46.00

C 46.00.a

Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (I)

C 46.00

C 46.00.b

Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (II)

C 46.00

C 46.00.c

Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (III)

C 51.00

C 51.00.a

Liquidity Coverage. Liquid assets (I). Total

C 51.00

C 51.00.b

Liquidity Coverage. Liquid assets (II). Total

C 51.00

C 51.00.w

Liquidity Coverage. Liquid assets (I). Significant currencies

C 51.00

C 51.00.x

Liquidity Coverage. Liquid assets (II). Significant currencies

C 52.00

C 52.00.a

Liquidity Coverage. Outflows (I). Total

C 52.00

C 52.00.b

Liquidity Coverage. Outflows (II). Total

C 52.00

C 52.00.c

Liquidity Coverage. Outflows (III). Total

C 52.00

C 52.00.d

Liquidity Coverage. Outflows (IV). Total

C 52.00

C 52.00.w

Liquidity Coverage. Outflows (I). Significant currencies

C 52.00

C 52.00.x

Liquidity Coverage. Outflows (II). Significant currencies

C 52.00

C 52.00.y

Liquidity Coverage. Outflows (III). Significant currencies

C 52.00

C 52.00.z

Liquidity Coverage. Outflows (IV). Significant currencies

C 53.00

C 53.00.a

Liquidity Coverage. Inflows (I). Total

C 53.00

C 53.00.b

Liquidity Coverage. Inflows (II). Total

C 53.00

C 53.00.c

Liquidity Coverage. Inflows (III). Total

C 53.00

C 53.00.w

Liquidity Coverage. Inflows (I). Significant currencies

C 53.00

C 53.00.x

Liquidity Coverage. Inflows (II). Significant currencies

C 53.00

C 53.00.y

Liquidity Coverage. Inflows (III). Significant currencies

C 54.00

C 54.00.a

Liquidity Coverage. Collateral swaps. Total

C 54.00

C 54.00.w

Liquidity Coverage. Collateral swaps. Significant currencies

C 60.00

C 60.00.a

Stable funding. Items requiring stable funding (I). Total

C 60.00

C 60.00.b

Stable funding. Items requiring stable funding (II). Total

C 60.00

C 60.00.w

Stable funding. Items requiring stable funding (I). Significant currencies

C 60.00

C 60.00.x

Stable funding. Items requiring stable funding (II). Significant currencies

C 61.00

C 61.00.a

Stable funding. Items providing stable funding (I). Total

C 61.00

C 61.00.b

Stable funding. Items providing stable funding (II). Total

C 61.00

C 61.00.w

Stable funding. Items providing stable funding (I). Significant currencies

C 61.00

C 61.00.x

Stable funding. Items providing stable funding (II). Significant currencies

F 00.01

F 00.01

Nature of Report (FINREP)

F 01.01

F 01.01

Balance Sheet Statement [Statement of Financial Position]: Assets

F 01.02

F 01.02

Balance Sheet Statement [Statement of Financial Position]: Liabilities

F 01.03

F 01.03

Balance Sheet Statement [Statement of Financial Position]: Equity

F 02.00

F 02.00

Statement of profit or loss

F 03.00

F 03.00

Statement of comprehensive income

F 04.01

F 04.01

Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading

F 04.02

F 04.02

Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss

F 04.03

F 04.03

Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets

F 04.04

F 04.04

Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments

F 04.05

F 04.05

Subordinated financial assets

F 04.06

F 04.06

Breakdown of financial assets by instrument and by counterparty sector: trading financial assets

F 04.07

F 04.07

Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss

F 04.08

F 04.08

Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity

F 04.09

F 04.09

Breakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method

F 04.10

F 04.10

Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets

F 05.00

F 05.00

Breakdown of loans and advances by product

F 06.00

F 06.00

Breakdown of loans and advances to non-financial corporations by NACE codes

F 07.00

F 07.00

Financial assets subject to impairment that are past due or impaired

F 08.01

F 08.01.a

Breakdown of financial liabilities by product and by counterparty (a)

F 08.01

F 08.01.b

Breakdown of financial liabilities by product and by counterparty (b)

F 08.02

F 08.02

Subordinated liabilities

F 09.01

F 09.01

Off-balance sheet items subject to credit risk: Loan commitments, financial guarantees and other commitments given

F 09.02

F 09.02

Loan commitments, financial guarantees and other commitments received

F 10.00

F 10.00

Derivatives: Trading

F 11.01

F 11.01

Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge

F 11.02

F 11.02

Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk

F 12.00

F 12.00

Movements in allowances for credit losses and impairment of equity instruments

F 13.01

F 13.01

Breakdown of loans and advances by collateral and guarantees

F 13.02

F 13.02

Collateral obtained by taking possession during the period (held at the reporting date)

F 13.03

F 13.03

Collateral obtained by taking possession [tangible assets] accumulated

F 14.00

F 14.00

Fair value hierarchy: financial instruments at fair value

F 15.00

F 15.00.a

Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (a)

F 15.00

F 15.00.b

Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (b)

F 16.01

F 16.01.a

Interest income and expenses by instrument and counterparty (a)

F 16.01

F 16.01.b

Interest income and expenses by instrument and counterparty (b)

F 16.02

F 16.02

Realised gains and losses on financial assets and liabilities not measured at fair value through profit or loss by instrument

F 16.03

F 16.03

Gains and losses on financial assets and liabilities held for trading by instrument

F 16.04

F 16.04

Gains and losses on financial assets and liabilities held for trading by risk

F 16.05

F 16.05

Gains and losses on financial assets and liabilities designated at fair value through profit or loss by instrument

F 16.06

F 16.06

Gains and losses from hedge accounting

F 16.07

F 16.07.a

Impairment on financial and non-financial assets (a)

F 16.07

F 16.07.b

Impairment on financial and non-financial assets (b)

F 17.01

F 17.01

Reconciliation between IFRS and CRR scope of consolidation: Assets

F 17.02

F 17.02

Reconciliation between IFRS and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given

F 17.03

F 17.03

Reconciliation between IFRS and CRR scope of consolidation: Liabilities

F 20.01

F 20.01

Geographical breakdown of assets by location of the activities

F 20.02

F 20.02

Geographical breakdown of liabilities by location of the activities

F 20.03

F 20.03

Geographical breakdown of main income statement items by location of the activities

F 20.04

F 20.04

Geographical breakdown of assets by residence of the counterparty

F 20.05

F 20.05.a

Geographical breakdown of off-balance sheet items subject to credit risk by residence of the counterparty (a)

F 20.05

F 20.05.b

Geographical breakdown of off-balance sheet items subject to credit risk by residence of the counterparty (b)

F 20.06

F 20.06

Geographical breakdown of liabilities by residence of the counterparty

F 20.07

F 20.07

Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes

F 21.00

F 21.00

Tangible and intangible assets: assets subject to operating lease

F 22.01

F 22.01

Fee and commission income and expenses by activity

F 22.02

F 22.02

Assets involved in the services provided

F 30.01

F 30.01

Interests in unconsolidated structured entities

F 30.02

F 30.02

Breakdown of interests in unconsolidated structured entities by nature of the activities

F 31.01

F 31.01

Related parties: amounts payable to and amounts receivable from

F 31.02

F 31.02

Related parties: expenses and income generated by transactions with

F 40.01

F 40.01

Scope of the group: "entity-by-entity"

F 40.02

F 40.02

Scope of the group: "instrument-by-instrument"

F 41.01

F 41.01

Fair value hierarchy: financial instruments at amortised cost

F 41.02

F 41.02

Use of the Fair Value Option

F 41.03

F 41.03

Hybrid financial instruments not designated at fair value through profit or loss

F 42.00

F 42.00

Tangible and intangible assets: carrying amount

F 43.00

F 43.00

Provisions

F 44.01

F 44.01

Components of net defined benefit plan assets and liabilities

F 44.02

F 44.02

Movements in defined benefit plans and employee benefits

F 44.03

F 44.03

Memo items [related to staff expenses]

F 45.01

F 45.01

Gains and losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio

F 45.02

F 45.02

Gains and losses on derecognition of non-financial assets other than held for sale

F 45.03

F 45.03

Other operating income and expenses

F 46.00

F 46.00

Statement of changes in equity

Table Axes

Table Code

Axis Type

Ordinate Code

Ordinate Label

C 00.01

Column

010

Nature of Report

C 00.01

Row

010

Accounting framework

C 00.01

Row

020

Reporting Level

C 01.00

Column

010

Amount

C 01.00

Row

010

OWN FUNDS

C 01.00

Row

015

TIER 1 CAPITAL

C 01.00

Row

020

COMMON EQUITY TIER 1 CAPITAL

C 01.00

Row

030

Capital instruments eligible as CET1 Capital

C 01.00

Row

040

Paid up capital instruments

C 01.00

Row

050

Memorandum item: Capital instruments not eligible

C 01.00

Row

060

Share premium

C 01.00

Row

070

(-) Own CET1 instruments

C 01.00

Row

080

(-) Direct holdings of CET1 instruments

C 01.00

Row

090

(-) Indirect holdings of CET1 instruments

C 01.00

Row

091

(-) Synthetic holdings of CET1 instruments

C 01.00

Row

092

(-) Actual or contingent obligations to purchase own CET1 instruments

C 01.00

Row

130

Retained earnings

C 01.00

Row

140

Previous years retained earnings

C 01.00

Row

150

Profit or loss eligible

C 01.00

Row

160

Profit or loss attributable to owners of the parent

C 01.00

Row

170

(-) Part of interim or year-end profit not eligible

C 01.00

Row

180

Accumulated other comprehensive income

C 01.00

Row

200

Other reserves

C 01.00

Row

210

Funds for general banking risk

C 01.00

Row

220

Transitional adjustments due to grandfathered CET1 Capital instruments

C 01.00

Row

230

Minority interest given recognition in CET1 capital

C 01.00

Row

240

Transitional adjustments due to additional minority interests

C 01.00

Row

250

Adjustments to CET1 due to prudential filters

C 01.00

Row

260

(-) Increases in equity resulting from securitised assets

C 01.00

Row

270

Cash flow hedge reserve

C 01.00

Row

280

Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

C 01.00

Row

285

Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

C 01.00

Row

290

(-) Value adjustments due to the requirements for prudent valuation

C 01.00

Row

300

(-) Goodwill

C 01.00

Row

310

(-) Goodwill accounted for as intangible asset

C 01.00

Row

320

(-) Goodwill included in the valuation of significant investments

C 01.00

Row

330

Deferred tax liabilities associated to goodwill

C 01.00

Row

340

(-) Other intangible assets

C 01.00

Row

350

(-) Other intangible assets gross amount

C 01.00

Row

360

Deferred tax liabilities associated to other intangible assets

C 01.00

Row

370

(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

C 01.00

Row

380

(-) IRB shortfall of credit risk adjustments to expected losses

C 01.00

Row

390

(-)Defined benefit pension fund assets

C 01.00

Row

400

(-)Defined benefit pension fund assets gross amount

C 01.00

Row

410

Deferred tax liabilities associated to defined benefit pension fund assets

C 01.00

Row

420

Defined benefit pension fund assets which the institution has an unrestricted ability to use

C 01.00

Row

430

(-) Reciprocal cross holdings in CET1 Capital

C 01.00

Row

440

(-) Excess of deduction from AT1 items over AT1 Capital (see 1.2.10)

C 01.00

Row

450

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250% risk weight

C 01.00

Row

460

(-) Securitisation positions which can alternatively be subject to a 1.250% risk weight

C 01.00

Row

470

(-) Free deliveries which can alternatively be subject to a 1.250% risk weight

C 01.00

Row

471

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1.250% risk weight

C 01.00

Row

472

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250% risk weight

C 01.00

Row

480

(-) CET1 instruments of financial sector entities where the institution does not have a significant investment

C 01.00

Row

490

(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

C 01.00

Row

500

(-) CET1 instruments of financial sector entities where the institution has a significant investment

C 01.00

Row

510

(-) Amount exceeding the 17.65% threshold

C 01.00

Row

520

Other transitional adjustments to CET1 Capital

C 01.00

Row

524

(-) Additional deductions of CET1 Capital due to Article 3 CRR

C 01.00

Row

529

CET1 capital elements or deductions - other

C 01.00

Row

530

ADDITIONAL TIER 1 CAPITAL

C 01.00

Row

540

Capital instruments eligible as AT1 Capital

C 01.00

Row

550

Paid up capital instruments

C 01.00

Row

560

Memorandum item: Capital instruments not eligible

C 01.00

Row

570

Share premium

C 01.00

Row

580

(-) Own AT1 instruments

C 01.00

Row

590

(-) Direct holdings of AT1 instruments

C 01.00

Row

620

(-) Indirect holdings of AT1 instruments

C 01.00

Row

621

(-) Synthetic holdings of AT1 instruments

C 01.00

Row

622

(-) Actual or contingent obligations to purchase own AT1 instruments

C 01.00

Row

660

Transitional adjustments due to grandfathered AT1 Capital instruments

C 01.00

Row

670

Instruments issued by subsidiaries that are given recognition in AT1 Capital

C 01.00

Row

680

Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

C 01.00

Row

690

(-) Reciprocal cross holdings in AT1 Capital

C 01.00

Row

700

(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

C 01.00

Row

710

(-) AT1 instruments of financial sector entities where the institution has a significant investment

C 01.00

Row

720

(-) Excess of deduction from T2 items over T2 Capital

C 01.00

Row

730

Other transitional adjustments to AT1 Capital

C 01.00

Row

740

Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

C 01.00

Row

744

(-) Additional deductions of AT1 Capital due to Article 3 CRR

C 01.00

Row

748

AT1 capital elements or deductions - other

C 01.00

Row

750

TIER 2 CAPITAL

C 01.00

Row

760

Capital instruments and subordinated loans eligible as T2 Capital

C 01.00

Row

770

Paid up capital instruments and subordinated loans

C 01.00

Row

780

Memorandum item: Capital instruments and subordinated loans not eligible

C 01.00

Row

790

Share premium

C 01.00

Row

800

(-) Own T2 instruments

C 01.00

Row

810

(-) Direct holdings of T2 instruments

C 01.00

Row

840

(-) Indirect holdings of T2 instruments

C 01.00

Row

841

(-) Synthetic holdings of T2 instruments

C 01.00

Row

842

(-) Actual or contingent obligations to purchase own T2 instruments

C 01.00

Row

880

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

C 01.00

Row

890

Instruments issued by subsidiaries that are given recognition in T2 Capital

C 01.00

Row

900

Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

C 01.00

Row

910

IRB Excess of provisions over expected losses eligible

C 01.00

Row

920

SA General credit risk adjustments

C 01.00

Row

930

(-) Reciprocal cross holdings in T2 Capital

C 01.00

Row

940

(-) T2 instruments of financial sector entities where the institution does not have a significant investment

C 01.00

Row

950

(-) T2 instruments of financial sector entities where the institution has a significant investment

C 01.00

Row

960

Other transitional adjustments to T2 Capital

C 01.00

Row

970

Excess of deduction from T2 items over T2 Capital (deducted in AT1)

C 01.00

Row

974

(-) Additional deductions of T2 Capital due to Article 3 CRR

C 01.00

Row

978

T2 capital elements or deductions - other

C 02.00

Column

010

Amount

C 02.00

Row

010

TOTAL RISK EXPOSURE AMOUNT

C 02.00

Row

020

Of which: Investment firms under Article 90 paragraph 2 and Article 93 of CRR

C 02.00

Row

030

Of which: Investment firms under Article 91 paragraph 1 and 2 and Article 92 of CRR

C 02.00

Row

040

RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

C 02.00

Row

050

Standardised Approach (SA)

C 02.00

Row

060

SA exposure classes excluding securitisation positions

C 02.00

Row

070

Central governments or central banks

C 02.00

Row

080

Regional governments or local authorities

C 02.00

Row

090

Public sector entities

C 02.00

Row

100

Multilateral Development Banks

C 02.00

Row

110

International Organisations

C 02.00

Row

120

Institutions

C 02.00

Row

130

Corporates

C 02.00

Row

140

Retail

C 02.00

Row

150

Secured by mortgages on immovable property

C 02.00

Row

160

Exposures in default

C 02.00

Row

170

Items associated with particular high risk

C 02.00

Row

180

Covered bonds

C 02.00

Row

190

Claims on institutions and corporates with a short-term credit assessment

C 02.00

Row

200

Collective investments undertakings (CIU)

C 02.00

Row

210

Equity

C 02.00

Row

211

Other items

C 02.00

Row

220

Securitisation positions SA

C 02.00

Row

230

of which: resecuritisation

C 02.00

Row

240

Internal ratings based Approach(IRB)

C 02.00

Row

250

IRB approaches when neither own estimates of LGD nor Conversion Factors are used

C 02.00

Row

260

Central governments and central banks

C 02.00

Row

270

Institutions

C 02.00

Row

280

Corporates - SME

C 02.00

Row

290

Corporates - Specialised Lending

C 02.00

Row

300

Corporates - Other

C 02.00

Row

310

IRB approaches when own estimates of LGD and/or Conversion Factors are used

C 02.00

Row

320

Central governments and central banks

C 02.00

Row

330

Institutions

C 02.00

Row

340

Corporates - SME

C 02.00

Row

350

Corporates - Specialised Lending

C 02.00

Row

360

Corporates - Other

C 02.00

Row

370

Retail - Secured by real estate SME

C 02.00

Row

380

Retail - Secured by real estate non-SME

C 02.00

Row

390

Retail - Qualifying revolving

C 02.00

Row

400

Retail - Other SME

C 02.00

Row

410

Retail - Other non-SME

C 02.00

Row

420

Equity IRB

C 02.00

Row

430

Securitisation positions IRB

C 02.00

Row

440

Of which: resecuritisation

C 02.00

Row

450

Other non credit-obligation assets

C 02.00

Row

460

Risk exposure amount for contributions to the default fund of a CCP

C 02.00

Row

490

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

C 02.00

Row

500

Settlement/delivery risk in the non-Trading book

C 02.00

Row

510

Settlement/delivery risk in the Trading book

C 02.00

Row

520

TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

C 02.00

Row

530

Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

C 02.00

Row

540

Traded debt instruments

C 02.00

Row

550

Equity

C 02.00

Row

560

Foreign Exchange

C 02.00

Row

570

Commodities

C 02.00

Row

580

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

C 02.00

Row

590

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

C 02.00

Row

600

OpR Basic indicator Approach (BIA)

C 02.00

Row

610

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

C 02.00

Row

620

OpR Advanced measurement approaches (AMA)

C 02.00

Row

630

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

C 02.00

Row

640

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

C 02.00

Row

650

Advanced method

C 02.00

Row

660

Standardised method

C 02.00

Row

670

Based on OEM

C 02.00

Row

680

TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

C 02.00

Row

690

OTHER RISK EXPOSURE AMOUNTS

C 02.00

Row

710

Of which: Additional stricter prudential requirements based on Art 458

C 02.00

Row

720

Of which: requirements for large exposures

C 02.00

Row

730

Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

C 02.00

Row

740

Of which: due to intra financial sector exposures

C 02.00

Row

750

Of which: Additional stricter prudential requirements based on Art 459

C 02.00

Row

760

Of which: Additional risk exposure amount due to Article 3 CRR

C 03.00

Column

010

Amount

C 03.00

Row

010

CET1 Capital ratio

C 03.00

Row

020

Surplus(+)/Deficit(-) of CET1 capital

C 03.00

Row

030

T1 Capital ratio

C 03.00

Row

040

Surplus(+)/Deficit(-) of T1 capital

C 03.00

Row

050

Total capital ratio

C 03.00

Row

060

Surplus(+)/Deficit(-) of total capital

C 03.00

Row

070

CET1 capital ratio including Pillar II adjustments

C 03.00

Row

080

Target CET1 capital ratio due to Pillar II adjustments

C 03.00

Row

090

T1 capital ratio including Pillar II adjustments

C 03.00

Row

100

Target T1 capital ratio due to Pillar II adjustments

C 03.00

Row

110

Total capital ratio including Pillar II adjustments

C 03.00

Row

120

Target Total capital ratio due to Pillar II adjustments

C 04.00

Column

010

Amount

C 04.00

Row

009

Deferred tax assets and liabilities

C 04.00

Row

010

Total deferred tax assets

C 04.00

Row

020

Deferred tax assets that do not rely on future profitability

C 04.00

Row

030

Deferred tax assets that rely on future profitability and do not arise from temporary differences

C 04.00

Row

040

Deferred tax assets that rely on future profitability and arise from temporary differences

C 04.00

Row

050

Total deferred tax liabilities

C 04.00

Row

060

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

C 04.00

Row

070

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

C 04.00

Row

080

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

C 04.00

Row

090

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

C 04.00

Row

099

Provisions and expected losses

C 04.00

Row

100

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

C 04.00

Row

110

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

C 04.00

Row

120

General credit risk adjustments

C 04.00

Row

130

Specific credit risk adjustments

C 04.00

Row

131

Additional value adjustments and other own funds reductions

C 04.00

Row

140

Total expected loss eligible

C 04.00

Row

145

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

C 04.00

Row

150

Specific credit risk adjustments and positions treated similarly

C 04.00

Row

155

Total expected losses eligible

C 04.00

Row

160

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

C 04.00

Row

170

Total gross provisions eligible for inclusion in T2 capital

C 04.00

Row

180

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

C 04.00

Row

189

Thresholds for Common Equity Tier 1 deductions

C 04.00

Row

190

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

C 04.00

Row

200

10% CET1 threshold

C 04.00

Row

210

17.65% CET1 threshold

C 04.00

Row

220

Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures

C 04.00

Row

229

Investments in the capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

230

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

C 04.00

Row

240

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

250

Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

260

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

270

Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

280

Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

290

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

291

Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

292

Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

293

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

300

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

C 04.00

Row

310

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

320

Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

330

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

340

Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

350

Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

360

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

361

Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

362

Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

363

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

370

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

C 04.00

Row

380

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

390

Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

400

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

410

Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

420

Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

430

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

431

Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

432

Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

C 04.00

Row

433

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

439

Investments in the capital of financial sector entities where the institution has a significant investment

C 04.00

Row

440

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

C 04.00

Row

450

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

460

Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

470

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

480

Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

490

Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

500

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

501

Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

502

Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

503

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

510

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

C 04.00

Row

520

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

530

Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

540

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

550

Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

560

Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

570

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

571

Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

572

Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

573

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

580

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

C 04.00

Row

590

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

600

Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

610

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

C 04.00

Row

620

Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

630

Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

640

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

C 04.00

Row

641

Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

642

Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

C 04.00

Row

643

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

C 04.00

Row

649

Total risk weighted assets of amounts not deducted from the corresponding capital category:

C 04.00

Row

650

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

C 04.00

Row

660

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

C 04.00

Row

670

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

C 04.00

Row

679

Temporary waiver from deduction from own funds

C 04.00

Row

680

Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

C 04.00

Row

690

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

C 04.00

Row

700

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

C 04.00

Row

710

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

C 04.00

Row

720

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

C 04.00

Row

730

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

C 04.00

Row

739

Capital buffers

C 04.00

Row

740

Combined Buffer Requirement

C 04.00

Row

750

Capital conservation buffer

C 04.00

Row

760

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

C 04.00

Row

770

Institution specific countercyclical capital buffer

C 04.00

Row

780

Systemic risk buffer

C 04.00

Row

790

Systemically important institution buffer

C 04.00

Row

800

Global Systemically Important Institution buffer

C 04.00

Row

810

Other Systemically Important Institution buffer

C 04.00

Row

819

Pillar II requirements

C 04.00

Row

820

Own funds requirements related to Pillar II adjustments

C 04.00

Row

829

Additional information for investment firms

C 04.00

Row

830

Initial capital

C 04.00

Row

840

Own funds based on Fixed overheads

C 04.00

Row

845

Additional information for calculation of reporting thresholds

C 04.00

Row

850

Non-domestic original exposures

C 04.00

Row

860

Total original exposures

C 04.00

Row

865

Basel I floor

C 04.00

Row

870

Adjustments to total own funds

C 04.00

Row

880

Own funds fully adjusted for Basel I floor

C 04.00

Row

890

Own funds requirements for Basel I floor

C 04.00

Row

900

Own funds requirements for Basel I floor - SA alternative

C 05.01

Column

010

Adjustments to CET1

C 05.01

Column

020

Adjustments to AT1

C 05.01

Column

030

Adjustments to T2

C 05.01

Column

040

Adjustments included in RWAs

C 05.01

Column

049

Memorandum items

C 05.01

Column

050

Applicable percentage

C 05.01

Column

060

Eligible amount without transitional provisions

C 05.01

Row

010

1. TOTAL ADJUSTMENTS

C 05.01

Row

020

1.1 GRANDFATHERED INSTRUMENTS

C 05.01

Row

030

1.1.1 Grandfathered instruments: Instruments constituting state aid

C 05.01

Row

040

1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC

C 05.01

Row

050

1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

C 05.01

Row

060

1.1.2 Instruments not constituting state aid

C 05.01

Row

070

1.2 MINORITY INTERESTS AND EQUIVALENTS

C 05.01

Row

080

1.2.1 Capital instruments and items that do not qualify as minority interests

C 05.01

Row

090

1.2.2 Transitional recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital

C 05.01

Row

091

1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

C 05.01

Row

092

1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital

C 05.01

Row

100

1.3 ADJUSTMENTS TO DEDUCTIONS

C 05.01

Row

110

1.3.1 Unrealised gains and losses

C 05.01

Row

120

1.3.1.1 Unrealised gains

C 05.01

Row

130

1.3.1.2 Unrealised losses

C 05.01

Row

133

1.3.1.3 Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

C 05.01

Row

136

1.3.1.4 Unrealised losses on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

C 05.01

Row

138

1.3.1.5 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

C 05.01

Row

140

1.3.2 Deductions

C 05.01

Row

150

1.3.2.1. Losses for the current financial year

C 05.01

Row

160

1.3.2.2. Intangible assets

C 05.01

Row

170

1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences

C 05.01

Row

180

1.3.2.4. IRB shortfall of provisions to expected losses

C 05.01

Row

190

1.3.2.5. Defined benefit pension fund assets

C 05.01

Row

194

of which: Introduction of amendments to IAS19 - positive item

C 05.01

Row

198

of which: Introduction of amendments to IAS19 - negative item

C 05.01

Row

200

1.3.2.6. Own instruments

C 05.01

Row

210

1.3.2.6.1 Own CET1 instruments

C 05.01

Row

211

of which: Direct holdings

C 05.01

Row

212

of which: Indirect holdings

C 05.01

Row

220

1.3.2.6.2 Own AT1 instruments

C 05.01

Row

221

of which: Direct holdings

C 05.01

Row

222

of which: Indirect holdings

C 05.01

Row

230

1.3.2.6.3 Own T2 instruments

C 05.01

Row

231

of which: Direct holdings

C 05.01

Row

232

of which: Indirect holdings

C 05.01

Row

240

1.3.2.7. Reciprocal cross holdings

C 05.01

Row

250

1.3.2.7.1 Reciprocal cross holdings in CET1 Capital

C 05.01

Row

260

1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

C 05.01

Row

270

1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

C 05.01

Row

280

1.3.2.7.2 Reciprocal cross holdings in AT1 Capital

C 05.01

Row

290

1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

C 05.01

Row

300

1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

C 05.01

Row

310

1.3.2.7.3 Reciprocal cross holdings in T2 Capital

C 05.01

Row

320

1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

C 05.01

Row

330

1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

C 05.01

Row

340

1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment

C 05.01

Row

350

1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment

C 05.01

Row

360

1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment

C 05.01

Row

370

1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment

C 05.01

Row

380

1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

C 05.01

Row

390

1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment

C 05.01

Row

400

1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment

C 05.01

Row

410

1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment

C 05.01

Row

420

1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment

C 05.01

Row

425

1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

C 05.01

Row

430

1.3.3 Additional filters and deductions

C 05.02

Column

010

Amount of instruments plus related share premium

C 05.02

Column

020

Base for calculating the limit

C 05.02

Column

030

Applicable percentage

C 05.02

Column

040

Limit

C 05.02

Column

050

(-) Amount that exceeds the limits for grandfathering

C 05.02

Column

060

Total grandfathered amount

C 05.02

Row

010

1. Instruments that qualified for point a) of Article 57 of 2006/48/EC

C 05.02

Row

020

2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 467

C 05.02

Row

030

2.1 Total instruments without a call or an incentive to redeem

C 05.02

Row

040

2.2 Grandfathered instruments with a call and incentive to redeem

C 05.02

Row

050

2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity

C 05.02

Row

060

2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

C 05.02

Row

070

2.2.3Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

C 05.02

Row

080

2.3 Excess on the limit of CET1 grandfathered instruments

C 05.02

Row

090

3. Items that qualified for points f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 468

C 05.02

Row

100

3.1 Total items without an incentive to redeem

C 05.02

Row

110

3.2 Grandfathered items with an incentive to redeem

C 05.02

Row

120

3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 60 of CRR after the date of effective maturity

C 05.02

Row

130

3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 60 of CRR after the date of effective maturity

C 05.02

Row

140

3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 60 of CRR after the date of effective maturity

C 05.02

Row

150

3.3 Excess on the limit of AT1 grandfathered instruments

C 06.00

Column

009

ENTITIES WITHIN SCOPE OF CONSOLIDATION

C 06.00

Column

010

Name

C 06.00

Column

020

Code

C 06.00

Column

025

LEI code

C 06.00

Column

030

Institution or equivalent (yes / no)

C 06.00

Column

040

Scope of data: solo fully consolidated (sf), solo partially consolidated (sp) or subconsolidated (sc)

C 06.00

Column

050

Country code

C 06.00

Column

060

Share of holding (%)

C 06.00

Column

069

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

C 06.00

Column

070

Total risk exposure amount

C 06.00

Column

080

Credit; counterparty credit; dilution risks, free deliveries and settlement/delivery risk

C 06.00

Column

090

Position, fx and commodities risks

C 06.00

Column

100

Operational risk

C 06.00

Column

110

Other risk exposure amounts

C 06.00

Column

120

Own funds

C 06.00

Column

130

Of which: qualifying own funds

C 06.00

Column

140

Of which: own funds instruments, related retained earnings, share premium accounts and other reserves

C 06.00

Column

150

Total tier 1 capital

C 06.00

Column

160

Of which: qualifying tier 1 capital

C 06.00

Column

170

Of which: own funds instruments, related retained earnings, share premium accounts and other reserves

C 06.00

Column

180

Common equity tier 1 capital

C 06.00

Column

190

Of which: minority interests

C 06.00

Column

200

Of which: own funds instruments, related retained earnings, share premium accounts and other reserves

C 06.00

Column

210

Additional tier 1 capital

C 06.00

Column

220

Of which: qualifying additional tier 1 capital

C 06.00

Column

230

Tier 2 capital

C 06.00

Column

240

Of which: qualifying tier 2 capital

C 06.00

Column

249

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

C 06.00

Column

250

Total risk exposure amount

C 06.00

Column

260

Credit; counterparty credit; dilution risks, free deliveries and settlement/delivery risk

C 06.00

Column

270

Position, fx and commodities risks

C 06.00

Column

280

Operational risk

C 06.00

Column

290

Other risk exposure amounts

C 06.00

Column

300

Qualifying own funds included in consolidated own funds

C 06.00

Column

310

Qualifying tier 1 instruments included in consolidated tier 1 capital

C 06.00

Column

320

Minority interests included in consolidated common equity tier 1 capital

C 06.00

Column

330

Qualifying tier 1 instruments included in consolidated additional tier 1 capital

C 06.00

Column

340

Qualifying own funds instruments included in consolidated tier 2 capital

C 06.00

Column

350

MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL

C 06.00

Column

360

CONSOLIDATED OWN FUNDS

C 06.00

Column

370

OF WHICH: COMMON EQUITY TIER 1

C 06.00

Column

380

OF WHICH: ADDITIONAL TIER 1

C 06.00

Column

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

C 06.00

Column

400

OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

C 06.00

Column

409

CAPITAL BUFFERS

C 06.00

Column

410

COMBINED BUFFER REQUIREMENTS

C 06.00

Column

420

CAPITAL CONSERVATION BUFFER

C 06.00

Column

430

INSTITUTION SPECIFIC COUNTERCYCLICAL BUFFER

C 06.00

Column

440

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

C 06.00

Column

450

SYSTEMIC RISK BUFFER

C 06.00

Column

460

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

C 06.00

Column

470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

C 06.00

Column

480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

C 06.00

Row

999

Open

C 07.00.a

Column

010

Original exposure pre conversion factors

C 07.00.a

Column

020

Of which: arising from default fund contributions

C 07.00.a

Column

030

(-) Value adjustments and provision associated with the original exposure

C 07.00.a

Column

040

Exposure net of value adjustments and provisions

C 07.00.a

Column

048

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

C 07.00.a

Column

049

Unfunded credit protection: adjusted values (Ga)

C 07.00.a

Column

050

(-) Guarantees

C 07.00.a

Column

060

(-) Credit derivatives

C 07.00.a

Column

069

Funded credit protection

C 07.00.a

Column

070

(-) Financial collateral: simple method

C 07.00.a

Column

080

(-) Other funded credit protection

C 07.00.a

Column

089

Substitution of the exposure due to CRM

C 07.00.a

Column

090

(-) Total Outflows

C 07.00.a

Column

100

Total Inflows (+)

C 07.00.a

Column

110

Net exposure after CRM substitution effects pre conversion factors

C 07.00.a

Column

119

Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection. Financial collateral comprehensive method

C 07.00.a

Column

120

Volatility adjustment to the exposure

C 07.00.a

Column

130

(-) Financial collateral: adjusted value (Cvam)

C 07.00.a

Column

140

Volatility and maturity adjustments

C 07.00.a

Column

150

Fully adjusted exposure value (E*)

C 07.00.a

Column

159

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

C 07.00.a

Column

160

0%

C 07.00.a

Column

170

20%

C 07.00.a

Column

180

50%

C 07.00.a

Column

190

100%

C 07.00.a

Column

200

Exposure value

C 07.00.a

Column

215

Risk weighted exposure amount pre SME-supporting factor

C 07.00.a

Column

220

Risk weighted exposure amount after SME-supporting factor

C 07.00.a

Column

230

Of which: with a credit assessment by a nominated ECAI

C 07.00.a

Column

240

Of which: with a credit assessment derived from central government

C 07.00.a

Row

010

TOTAL EXPOSURES

C 07.00.a

Row

020

of which: SME

C 07.00.a

Row

030

of which: SME subject to SME-supporting factor

C 07.00.a

Row

040

of which: Secured by mortgages on immovable property - Residential property

C 07.00.a

Row

050

of which: Exposures under the permanent partial use of the standardised approach

C 07.00.a

Row

060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

C 07.00.a

Row

065

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

C 07.00.a

Row

070

On balance sheet exposures subject to credit risk

C 07.00.a

Row

080

Off balance sheet exposures subject to credit risk

C 07.00.a

Row

085

Exposures / Transactions subject to counterparty credit risk

C 07.00.a

Row

090

Securities Financing Transactions

C 07.00.a

Row

100

Of which: Centrally cleared through a QCCP

C 07.00.a

Row

110

Derivatives & Long Settlement Transactions

C 07.00.a

Row

120

Of which: Centrally cleared through a QCCP

C 07.00.a

Row

130

From Contractual Cross Product Netting

C 07.00.a

Row

135

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

C 07.00.a

Row

140

0%

C 07.00.a

Row

150

2%

C 07.00.a

Row

160

4%

C 07.00.a

Row

170

10%

C 07.00.a

Row

180

20%

C 07.00.a

Row

190

35%

C 07.00.a

Row

200

50%

C 07.00.a

Row

210

70%

C 07.00.a

Row

220

75%

C 07.00.a

Row

230

100%

C 07.00.a

Row

240

150%

C 07.00.a

Row

250

250%

C 07.00.a

Row

260

370%

C 07.00.a

Row

270

1250%

C 07.00.a

Row

280

Other risk weights

C 07.00.a

Sheet

001

Total

C 07.00.a

Sheet

002

Central governments or central banks

C 07.00.a

Sheet

003

Regional governments or local authorities

C 07.00.a

Sheet

004

Public sector entities

C 07.00.a

Sheet

005

Multilateral developments banks

C 07.00.a

Sheet

006

International organisations

C 07.00.a

Sheet

007

Institutions

C 07.00.a

Sheet

008

Corporates

C 07.00.a

Sheet

009

Retail

C 07.00.a

Sheet

010

Secured by mortgages on immovable property

C 07.00.a

Sheet

011

Exposures in default

C 07.00.a

Sheet

012

Items associated with particularly high risk

C 07.00.a

Sheet

013

Covered bonds

C 07.00.a

Sheet

014

Claims on institutions and corporate with a short-term credit assessment

C 07.00.a

Sheet

015

Claims in the form of CIU

C 07.00.a

Sheet

016

Equity Exposures

C 07.00.a

Sheet

017

Other items

C 07.00.b

Column

200

Exposure value

C 07.00.b

Column

210

Of which: Arising from Counterparty Credit Risk

C 07.00.b

Row

010

TOTAL EXPOSURES

C 07.00.b

Row

020

of which: SME

C 07.00.b

Row

030

of which: SME subject to SME-supporting factor

C 07.00.b

Row

040

of which: Secured by mortgages on immovable property - Residential property

C 07.00.b

Row

050

of which: Exposures under the permanent partial use of the standardised approach

C 07.00.b

Row

060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

C 07.00.b

Row

065

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

C 07.00.b

Row

070

On balance sheet exposures subject to credit risk

C 07.00.b

Row

080

Off balance sheet exposures subject to credit risk

C 07.00.b

Row

085

Exposures / Transactions subject to counterparty credit risk

C 07.00.b

Row

090

Securities Financing Transactions

C 07.00.b

Row

100

Of which: Centrally cleared through a QCCP

C 07.00.b

Row

110

Derivatives & Long Settlement Transactions

C 07.00.b

Row

120

Of which: Centrally cleared through a QCCP

C 07.00.b

Row

130

From Contractual Cross Product Netting

C 07.00.b

Row

135

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

C 07.00.b

Row

140

0%

C 07.00.b

Row

150

2%

C 07.00.b

Row

160

4%

C 07.00.b

Row

170

10%

C 07.00.b

Row

180

20%

C 07.00.b

Row

190

35%

C 07.00.b

Row

200

50%

C 07.00.b

Row

210

70%

C 07.00.b

Row

220

75%

C 07.00.b

Row

230

100%

C 07.00.b

Row

240

150%

C 07.00.b

Row

250

250%

C 07.00.b

Row

260

370%

C 07.00.b

Row

270

1250%

C 07.00.b

Row

280

Other risk weights

C 07.00.b

Sheet

001

Total

C 07.00.b

Sheet

002

Central governments or central banks

C 07.00.b

Sheet

003

Regional governments or local authorities

C 07.00.b

Sheet

004

Public sector entities

C 07.00.b

Sheet

005

Multilateral developments banks

C 07.00.b

Sheet

006

International organisations

C 07.00.b

Sheet

007

Institutions

C 07.00.b

Sheet

008

Corporates

C 07.00.b

Sheet

009

Retail

C 07.00.b

Sheet

010

Secured by mortgages on immovable property

C 07.00.b

Sheet

011

Exposures in default

C 07.00.b

Sheet

012

Items associated with particularly high risk

C 07.00.b

Sheet

013

Covered bonds

C 07.00.b

Sheet

014

Claims on institutions and corporate with a short-term credit assessment

C 07.00.b

Sheet

015

Claims in the form of CIU

C 07.00.b

Sheet

016

Equity Exposures

C 07.00.b

Sheet

017

Other items

C 07.00.c

Column

010

Original exposure pre conversion factors

C 07.00.c

Column

020

Of which: arising from default fund contributions

C 07.00.c

Column

030

(-) Value adjustments and provision associated with the original exposure

C 07.00.c

Column

040

Exposure net of value adjustments and provisions

C 07.00.c

Column

048

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

C 07.00.c

Column

049

Unfunded credit protection: adjusted values (Ga)

C 07.00.c

Column

050

(-) Guarantees

C 07.00.c

Column

060

(-) Credit derivatives

C 07.00.c

Column

069

Funded credit protection

C 07.00.c

Column

070

(-) Financial collateral: simple method

C 07.00.c

Column

080

(-) Other funded credit protection

C 07.00.c

Column

089

Substitution of the exposure due to CRM

C 07.00.c

Column

090

(-) Total Outflows

C 07.00.c

Column

100

Total Inflows (+)

C 07.00.c

Column

110

Net exposure after CRM substitution effects pre conversion factors

C 07.00.c

Column

119

Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection. Financial collateral comprehensive method

C 07.00.c

Column

120

Volatility adjustment to the exposure

C 07.00.c

Column

130

(-) Financial collateral: adjusted value (Cvam)

C 07.00.c

Column

140

Volatility and maturity adjustments

C 07.00.c

Column

150

Fully adjusted exposure value (E*)

C 07.00.c

Column

159

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

C 07.00.c

Column

160

0%

C 07.00.c

Column

170

20%

C 07.00.c

Column

180

50%

C 07.00.c

Column

190

100%

C 07.00.c

Column

200

Exposure value

C 07.00.c

Column

210

Of which: Arising from Counterparty Credit Risk

C 07.00.c

Column

215

Risk weighted exposure amount pre SME-supporting factor

C 07.00.c

Column

220

Risk weighted exposure amount after SME-supporting factor

C 07.00.c

Column

230

Of which: with a credit assessment by a nominated ECAI

C 07.00.c

Column

240

Of which: with a credit assessment derived from central government

C 07.00.c

Row

285

Memorandum items

C 07.00.c

Row

290

Exposures secured by mortgages on commercial immovable property

C 07.00.c

Row

310

Exposures secured by mortgages on residential property

C 07.00.c

Sheet

001

Total

C 07.00.c

Sheet

002

Central governments or central banks

C 07.00.c

Sheet

003

Regional governments or local authorities

C 07.00.c

Sheet

004

Public sector entities

C 07.00.c

Sheet

007

Institutions

C 07.00.c

Sheet

008

Corporates

C 07.00.c

Sheet

009

Retail

C 07.00.d

Column

010

Original exposure pre conversion factors

C 07.00.d

Column

020

Of which: arising from default fund contributions

C 07.00.d

Column

030

(-) Value adjustments and provision associated with the original exposure

C 07.00.d

Column

040

Exposure net of value adjustments and provisions

C 07.00.d

Column

048

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

C 07.00.d

Column

049

Unfunded credit protection: adjusted values (Ga)

C 07.00.d

Column

050

(-) Guarantees

C 07.00.d

Column

060

(-) Credit derivatives

C 07.00.d

Column

069

Funded credit protection

C 07.00.d

Column

070

(-) Financial collateral: simple method

C 07.00.d

Column

080

(-) Other funded credit protection

C 07.00.d

Column

089

Substitution of the exposure due to CRM

C 07.00.d

Column

090

(-) Total Outflows

C 07.00.d

Column

100

Total Inflows (+)

C 07.00.d

Column

110

Net exposure after CRM substitution effects pre conversion factors

C 07.00.d

Column

119

Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection. Financial collateral comprehensive method

C 07.00.d

Column

120

Volatility adjustment to the exposure

C 07.00.d

Column

130

(-) Financial collateral: adjusted value (Cvam)

C 07.00.d

Column

140

Volatility and maturity adjustments

C 07.00.d

Column

150

Fully adjusted exposure value (E*)

C 07.00.d

Column

159

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

C 07.00.d

Column

160

0%

C 07.00.d

Column

170

20%

C 07.00.d

Column

180

50%

C 07.00.d

Column

190

100%

C 07.00.d

Column

200

Exposure value

C 07.00.d

Column

210

Of which: Arising from Counterparty Credit Risk

C 07.00.d

Column

215

Risk weighted exposure amount pre SME-supporting factor

C 07.00.d

Column

220

Risk weighted exposure amount after SME-supporting factor

C 07.00.d

Column

230

Of which: with a credit assessment by a nominated ECAI

C 07.00.d

Column

240

Of which: with a credit assessment derived from central government

C 07.00.d

Row

285

Memorandum items

C 07.00.d

Row

300

Exposures in default subject to a risk weight of 100%

C 07.00.d

Row

320

Exposures in default subject to a risk weight of 150%

C 07.00.d

Sheet

001

Total

C 07.00.d

Sheet

002

Central governments or central banks

C 07.00.d

Sheet

003

Regional governments or local authorities

C 07.00.d

Sheet

004

Public sector entities

C 07.00.d

Sheet

007

Institutions

C 07.00.d

Sheet

008

Corporates

C 07.00.d

Sheet

009

Retail

C 08.01.a

Column

010

Internal rating system - PD assigned to the obligor grade or pool

C 08.01.a

Column

020

Original exposure pre conversion factors

C 08.01.a

Column

030

Of which: large financial sector entities and unregulated financial entities

C 08.01.a

Column

038

Credit risk mitigation (CRM) techniques with substitution effects on the exposure

C 08.01.a

Column

039

Unfunded credit protection

C 08.01.a

Column

040

(-) Guarantees

C 08.01.a

Column

050

(-) Credit derivatives

C 08.01.a

Column

060

(-) Other funded credit protection

C 08.01.a

Column

069

Substitution of the exposure due to CRM

C 08.01.a

Column

070

(-) Total outflows

C 08.01.a

Column

080

Total inflows (+)

C 08.01.a

Column

090

Exposure after CRM substitution effects pre conversion factors

C 08.01.a

Column

110

Exposure value

C 08.01.a

Column

140

Of which: large financial sector entities and unregulated financial entities

C 08.01.a

Column

148

Credit risk mitigation techniques taken into account in lgd estimates excluding double default treatment

C 08.01.a

Column

149

Own estimates of lgd's are used: unfunded credit protection

C 08.01.a

Column

150

Guarantees

C 08.01.a

Column

160

Credit derivatives

C 08.01.a

Column

169

Funded credit protection

C 08.01.a

Column

170

Own estimates of LGD's are used: other funded credit protection

C 08.01.a

Column

180

Eligible financial collateral

C 08.01.a

Column

189

Other eligible collateral

C 08.01.a

Column

190

Real estate

C 08.01.a

Column

200

Other physical collateral

C 08.01.a

Column

210

Receivables

C 08.01.a

Column

219

Subject to double default treatment

C 08.01.a

Column

220

Unfunded credit protection

C 08.01.a

Column

230

Exposure weighted average lgd (%)

C 08.01.a

Column

240

Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities

C 08.01.a

Column

250

Exposure-weighted average maturity value (days)

C 08.01.a

Column

255

Risk weighted exposure amount pre SME-supporting factor

C 08.01.a

Column

260

Risk weighted exposure amount after SME-supporting factor

C 08.01.a

Column

270

Of which: large financial sector entities and unregulated financial entities

C 08.01.a

Column

279

Memorandum items:

C 08.01.a

Column

280

Expected loss amount

C 08.01.a

Column

290

(-) value adjustments and provisions

C 08.01.a

Column

300

Number of obligors

C 08.01.a

Row

010

Total exposures

C 08.01.a

Row

019

Breakdown of total exposures by exposure types:

C 08.01.a

Row

020

On balance sheet items subject to credit risk

C 08.01.a

Row

030

Off balance sheet items subject to credit risk

C 08.01.a

Row

039

Exposures / Transactions subject to counterparty credit risk

C 08.01.a

Row

040

Securities Financing Transactions

C 08.01.a

Row

050

Derivatives & Long Settlement Transactions

C 08.01.a

Row

060

From Contractual Cross Product Netting

C 08.01.a

Row

070

Exposures assigned to obligor grades or pools: Total

C 08.01.a

Row

080

Specialized lending slotting criteria (b)

C 08.01.a

Row

085

Breakdown by risk weights of total exposures under specialized lending slotting criteria:

C 08.01.a

Row

090

0%

C 08.01.a

Row

100

50%

C 08.01.a

Row

110

70%

C 08.01.a

Row

120

Of which: in category 1

C 08.01.a

Row

130

90%

C 08.01.a

Row

140

115%

C 08.01.a

Row

150

250%

C 08.01.a

Row

160

Alternative treatment: secured by real estate

C 08.01.a

Row

170

Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights

C 08.01.a

Row

180

Dilution risk: total purchased receivables

C 08.01.a

Sheet

001

Total with own estimates of LGD and/or conversion factors

C 08.01.a

Sheet

002

Total without own estimates of LGD or conversion factors

C 08.01.a

Sheet

003

Central governments and central banks with own estimates of LGD and/or conversion factors

C 08.01.a

Sheet

004

Central governments and central banks without own estimates of LGD or conversion factors

C 08.01.a

Sheet

005

Institutions with own estimates of LGD or conversion factors

C 08.01.a

Sheet

006

Institutions without own estimates of LGD or conversion factors

C 08.01.a

Sheet

007

Corporates - SME with own estimates of LGD or conversion factors

C 08.01.a

Sheet

008

Corporates - SME without own estimates of LGD or conversion factors

C 08.01.a

Sheet

009

Corporates - Specialised Lending with own estimates of LGD or conversion factors

C 08.01.a

Sheet

010

Corporates - Specialised Lending without own estimates of LGD or conversion factors

C 08.01.a

Sheet

011

Corporates - Other with own estimates of LGD or conversion factors

C 08.01.a

Sheet

012

Corporates - Other without own estimates of LGD or conversion factors

C 08.01.a

Sheet

013

Retail - Secured by immovable property SME - with own estimates of LGD or conversion factors

C 08.01.a

Sheet

014

Retail - Secured by immovable property non-SME - with own estimates of LGD or conversion factors

C 08.01.a

Sheet

015

Retail - Qualifying revolving - with own estimates of LGD or conversion factors

C 08.01.a

Sheet

016

Retail - Other SME - with own estimates of LGD or conversion factors

C 08.01.a

Sheet

017

Retail - Other non-SME - with own estimates of LGD or conversion factors

C 08.01.b

Column

090

Exposure after CRM substitution effects pre conversion factors

C 08.01.b

Column

100

Of which: off balance sheet items

C 08.01.b

Column

110

Exposure value

C 08.01.b

Column

120

Of which: off balance sheet items

C 08.01.b

Column

130

Of which: arising from counterparty credit risk

C 08.01.b

Row

010

Total exposures

C 08.01.b

Row

070

Exposures assigned to obligor grades or pools: Total

C 08.01.b

Row

080

Specialized lending slotting criteria: total

C 08.01.b

Row

085

Breakdown by risk weights of total exposures under specialized lending slotting criteria:

C 08.01.b

Row

090

0%

C 08.01.b

Row

100

50%

C 08.01.b

Row

110

70%

C 08.01.b

Row

120

Of which: in category 1

C 08.01.b

Row

130

90%

C 08.01.b

Row

140

115%

C 08.01.b

Row

150

250%

C 08.01.b

Row

160

Alternative treatment: secured by real estate

C 08.01.b

Row

170

Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights

C 08.01.b

Row

180

Dilution risk: total purchased receivables

C 08.01.b

Sheet

001

Total with own estimates of LGD and/or conversion factors

C 08.01.b

Sheet

002

Total without own estimates of LGD or conversion factors

C 08.01.b

Sheet

003

Central governments and central banks with own estimates of LGD and/or conversion factors

C 08.01.b

Sheet

004

Central governments and central banks without own estimates of LGD or conversion factors

C 08.01.b

Sheet

005

Institutions with own estimates of LGD or conversion factors

C 08.01.b

Sheet

006

Institutions without own estimates of LGD or conversion factors

C 08.01.b

Sheet

007

Corporates - SME with own estimates of LGD or conversion factors

C 08.01.b

Sheet

008

Corporates - SME without own estimates of LGD or conversion factors

C 08.01.b

Sheet

009

Corporates - Specialised Lending with own estimates of LGD or conversion factors

C 08.01.b

Sheet

010

Corporates - Specialised Lending without own estimates of LGD or conversion factors

C 08.01.b

Sheet

011

Corporates - Other with own estimates of LGD or conversion factors

C 08.01.b

Sheet

012

Corporates - Other without own estimates of LGD or conversion factors

C 08.01.b

Sheet

013

Retail - Secured by immovable property SME - with own estimates of LGD or conversion factors

C 08.01.b

Sheet

014

Retail - Secured by immovable property non-SME - with own estimates of LGD or conversion factors

C 08.01.b

Sheet

015

Retail - Qualifying revolving - with own estimates of LGD or conversion factors

C 08.01.b

Sheet

016

Retail - Other SME - with own estimates of LGD or conversion factors

C 08.01.b

Sheet

017

Retail - Other non-SME - with own estimates of LGD or conversion factors

C 08.01.c

Column

010

Internal rating system - PD assigned to the obligor grade or pool

C 08.01.c

Column

020

Original exposure pre conversion factors

C 08.01.c

Column

030

Of which: large financial sector entities and unregulated financial entities

C 08.01.c

Column

038

Credit risk mitigation (CRM) techniques with substitution effects on the exposure

C 08.01.c

Column

039

Unfunded credit protection

C 08.01.c

Column

040

(-) Guarantees

C 08.01.c

Column

050

(-) Credit derivatives

C 08.01.c

Column

060

(-) Other funded credit protection

C 08.01.c

Column

069

Substitution of the exposure due to CRM

C 08.01.c

Column

070

(-) Total outflows

C 08.01.c

Column

080

Total inflows (+)

C 08.01.c

Column

090

Exposure after CRM substitution effects pre conversion factors

C 08.01.c

Column

110

Exposure value

C 08.01.c

Column

140

Of which: large financial sector entities and unregulated financial entities

C 08.01.c

Column

148

Credit risk mitigation techniques taken into account in lgd estimates excluding double default treatment

C 08.01.c

Column

149

Own estimates of lgd's are used: unfunded credit protection

C 08.01.c

Column

150

Guarantees

C 08.01.c

Column

160

Credit derivatives

C 08.01.c

Column

169

Funded credit protection

C 08.01.c

Column

170

Own estimates of LGD's are used: other funded credit protection

C 08.01.c

Column

180

Eligible financial collateral

C 08.01.c

Column

189

Other eligible collateral

C 08.01.c

Column

190

Real estate

C 08.01.c

Column

200

Other physical collateral

C 08.01.c

Column

210

Receivables

C 08.01.c

Column

219

Subject to double default treatment

C 08.01.c

Column

220

Unfunded credit protection

C 08.01.c

Column

230

Exposure weighted average lgd (%)

C 08.01.c

Column

240

Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities

C 08.01.c

Column

250

Exposure-weighted average maturity value (days)

C 08.01.c

Column

255

Risk weighted exposure amount pre SME-supporting factor

C 08.01.c

Column

260

Risk weighted exposure amount after SME-supporting factor

C 08.01.c

Column

270

Of which: large financial sector entities and unregulated financial entities

C 08.01.c

Column

279

Memorandum items:

C 08.01.c

Column

280

Expected loss amount

C 08.01.c

Column

290

(-) value adjustments and provisions

C 08.01.c

Column

300

Number of obligors

C 08.01.c

Row

010

Total exposures

C 08.01.c

Sheet

018

Corporates - SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.01.c

Sheet

019

Corporates - SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.c

Sheet

020

Retail - Secured by immovable property SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.c

Sheet

021

Retail - Other SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.c

Sheet

022

Retail - Secured by immovable property SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.01.c

Sheet

023

Retail - Other SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.01.d

Column

090

Exposure after CRM substitution effects pre conversion factors

C 08.01.d

Column

100

Of which: off balance sheet items

C 08.01.d

Column

110

Exposure value

C 08.01.d

Column

120

Of which: off balance sheet items

C 08.01.d

Column

130

Of which: arising from counterparty credit risk

C 08.01.d

Row

010

Total exposures

C 08.01.d

Sheet

018

Corporates - SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.01.d

Sheet

019

Corporates - SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.d

Sheet

020

Retail - Secured by immovable property SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.d

Sheet

021

Retail - Other SME subject to SME-supporting factor - with own estimates of LGD or conversion factors

C 08.01.d

Sheet

022

Retail - Secured by immovable property SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.01.d

Sheet

023

Retail - Other SME subject to SME-supporting factor - without own estimates of LGD or conversion factors

C 08.02

Column

005

Obligor grade

C 08.02

Column

010

Internal rating System - PD assigned to the obligor grade or pool

C 08.02

Column

020

Original exposure conversion factors

C 08.02

Column

030

Of which: large financial sector entities and unregulated financial entities

C 08.02

Column

038

Credit risk mitigation (CRM) techniques with substitution effects on the exposure

C 08.02

Column

039

Unfunded credit protection

C 08.02

Column

040

(-) Guarantees

C 08.02

Column

050

(-) Credit derivatives

C 08.02

Column

060

(-) Other funded credit protection

C 08.02

Column

069

Substitution of the exposure due to CRM

C 08.02

Column

070

(-) Total outflows

C 08.02

Column

080

Total inflows (+)

C 08.02

Column

090

Exposure after CRM substitution effects pre conversion factors

C 08.02

Column

100

Of which: off balance sheet items

C 08.02

Column

110

Exposure value

C 08.02

Column

120

Of which: off balance sheet items

C 08.02

Column

130

Of which: arising from counterparty credit risk

C 08.02

Column

140

Of which: large financial sector entities and unregulated financial entities

C 08.02

Column

148

Credit risk mitigation techniques taken into account in lgd estimates excluding double default treatment

C 08.02

Column

149

Own estimates of lgd's are used:

C 08.02

Column

150

Guarantees

C 08.02

Column

160

Credit derivatives

C 08.02

Column

169

Funded credit protection

C 08.02

Column

170

Own estimates of lgd's are used:

C 08.02

Column

180

Eligible financial collateral

C 08.02

Column

189

Other eligible collateral

C 08.02

Column

190

Real estate

C 08.02

Column

200

Other physical collateral

C 08.02

Column

210

Receivables

C 08.02

Column

219

Subject to double default treatment

C 08.02

Column

220

Unfunded credit protection

C 08.02

Column

230

Exposure weighted average lgd (%)

C 08.02

Column

240

Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities

C 08.02

Column

250

Exposure-weighted average maturity value (days)

C 08.02

Column

255

Risk weighted exposure amount pre SME-supporting factor

C 08.02

Column

260

Risk weighted exposure amount after SME-supporting factor

C 08.02

Column

270

Of which: large financial sector entities and unregulated financial entities

C 08.02

Column

279

Memorandum items:

C 08.02

Column

280

Expected loss amount

C 08.02

Column

290

(-) value adjustments and provisions

C 08.02

Column

300

Number of obligors

C 08.02

Row

999

Open

C 08.02

Sheet

001

Total with own estimates of LGD and/or conversion factors

C 08.02

Sheet

002

Total without own estimates of LGD or conversion factors

C 08.02

Sheet

003

Central governments and central banks with own estimates of LGD and/or conversion factors

C 08.02

Sheet

004

Central governments and central banks without own estimates of LGD or conversion factors

C 08.02

Sheet

005

Institutions with own estimates of LGD or conversion factors

C 08.02

Sheet

006

Institutions without own estimates of LGD or conversion factors

C 08.02

Sheet

007

Corporates - SME with own estimates of LGD or conversion factors

C 08.02

Sheet

008

Corporates - SME without own estimates of LGD or conversion factors

C 08.02

Sheet

009

Corporates - Specialised Lending with own estimates of LGD or conversion factors

C 08.02

Sheet

010

Corporates - Specialised Lending without own estimates of LGD or conversion factors

C 08.02

Sheet

011

Corporates - Other with own estimates of LGD or conversion factors

C 08.02

Sheet

012

Corporates - Other without own estimates of LGD or conversion factors

C 08.02

Sheet

013

Retail - Secured by immovable property SME - with own estimates of LGD or conversion factors

C 08.02

Sheet

014

Retail - Secured by immovable property non-SME - with own estimates of LGD or conversion factors

C 08.02

Sheet

015

Retail - Qualifying revolving - with own estimates of LGD or conversion factors

C 08.02

Sheet

016

Retail - Other SME - with own estimates of LGD or conversion factors

C 08.02

Sheet

017

Retail - Other non-SME - with own estimates of LGD or conversion factors

C 09.01.a

Column

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

C 09.01.a

Column

050

General credit risk adjustments

C 09.01.a

Column

055

Specific credit risk adjustments

C 09.01.a

Column

060

Of which: write-offs

C 09.01.a

Column

075

EXPOSURE VALUE

C 09.01.a

Column

080

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

C 09.01.a

Column

090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

C 09.01.a

Row

010

Central governments or central banks

C 09.01.a

Row

020

Regional governments or local authorities

C 09.01.a

Row

030

Public sector entities

C 09.01.a

Row

040

Multilateral Development Banks

C 09.01.a

Row

050

International Organisations

C 09.01.a

Row

060

Institutions

C 09.01.a

Row

070

Corporates

C 09.01.a

Row

075

Of which: SME

C 09.01.a

Row

080

Retail

C 09.01.a

Row

085

Of which: SME

C 09.01.a

Row

090

Secured by mortgages on immovable property

C 09.01.a

Row

095

Of which: SME

C 09.01.a

Row

100

Exposures in default

C 09.01.a

Row

110

Items associated with particularly high risk

C 09.01.a

Row

120

Covered bonds

C 09.01.a

Row

130

Claims on institutions and corporate with a short-term credit assessment

C 09.01.a

Row

140

Claims in the form of CIU

C 09.01.a

Row

150

Equity exposures

C 09.01.a

Row

160

Other items

C 09.01.a

Row

170

Total exposures

C 09.01.a

Sheet

999

Country

C 09.01.b

Column

020

Exposures in default

C 09.01.b

Column

040

Observed new defaults for the period

C 09.01.b

Column

070

Credit risk adjustments/write-offs for observed new defaults

C 09.01.b

Row

010

Central governments or central banks

C 09.01.b

Row

020

Regional governments or local authorities

C 09.01.b

Row

030

Public sector entities

C 09.01.b

Row

040

Multilateral Development Banks

C 09.01.b

Row

050

International Organisations

C 09.01.b

Row

060

Institutions

C 09.01.b

Row

070

Corporates

C 09.01.b

Row

075

Of which: SME

C 09.01.b

Row

080

Retail

C 09.01.b

Row

085

Of which: SME

C 09.01.b

Row

090

Secured by mortgages on immovable property

C 09.01.b

Row

095

Of which: SME

C 09.01.b

Row

110

Items associated with particularly high risk

C 09.01.b

Row

120

Covered bonds

C 09.01.b

Row

130

Claims on institutions and corporate with a short-term credit assessment

C 09.01.b

Row

140

Claims in the form of CIU

C 09.01.b

Row

150

Equity exposures

C 09.01.b

Row

160

Other exposures

C 09.01.b

Row

170

Total exposures

C 09.01.b

Sheet

999

Country

C 09.02

Column

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

C 09.02

Column

030

Of which: defaulted

C 09.02

Column

040

Observed new defaults for the period

C 09.02

Column

050

General credit risk adjustments

C 09.02

Column

055

Specific credit risk adjustments

C 09.02

Column

060

Write-offs

C 09.02

Column

070

Credit risk adjustments/write-offs for observed new defaults

C 09.02

Column

080

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

C 09.02

Column

090

EXPOSURE WEIGHTED AVERAGE LGD (%)

C 09.02

Column

100

Of which: defaulted

C 09.02

Column

105

EXPOSURE VALUE

C 09.02

Column

110

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

C 09.02

Column

120

Of which: defaulted

C 09.02

Column

125

RISK WEIGHTED EXPOSURE AMOUNT PRE AFTER SME-SUPPORTING FACTOR

C 09.02

Column

130

EXPECTED LOSS AMOUNT

C 09.02

Row

010

Central governments or central banks

C 09.02

Row

020

Institutions

C 09.02

Row

030

Corporates

C 09.02

Row

040

Of Which: Specialised Lending

C 09.02

Row

050

Of Which: SME

C 09.02

Row

060

Retail

C 09.02

Row

070

Retail – Secured by real estate property

C 09.02

Row

080

SME

C 09.02

Row

090

Non-SME

C 09.02

Row

100

Qualifying Revolving

C 09.02

Row

110

Other Retail

C 09.02

Row

120

SME

C 09.02

Row

130

Non-SME

C 09.02

Row

140

Equity

C 09.02

Row

150

Total exposures

C 09.02

Sheet

999

Country

C 09.03

Column

010

Amount

C 09.03

Row

010

Own fund requirements for credit risk

C 09.03

Sheet

999

Country

C 10.01

Column

008

Internal rating system

C 10.01

Column

010

PD assigned to the obligor grade or pool (%)

C 10.01

Column

020

Original exposure pre conversion factors

C 10.01

Column

028

Credit Risk Mitigation(CRM) techniques with substitution effects on the exposure

C 10.01

Column

029

Unfunded credit protection

C 10.01

Column

030

(-) Guarantees

C 10.01

Column

040

(-) Credit derivatives

C 10.01

Column

050

(-) Substitution of the exposure due to CRM (-) Total outflows

C 10.01

Column

060

Exposure value

C 10.01

Column

070

Exposure weighted average LGD (%)

C 10.01

Column

080

Risk weighted exposure amount

C 10.01

Column

090

Memorandum item: Expected loss amount

C 10.01

Row

010

Total IRB Equity Exposures

C 10.01

Row

020

PD/LGD approach: Total

C 10.01

Row

050

Simple risk weight approach: Total

C 10.01

Row

060

Breakdown of total exposures under the simple risk weight Approach by risk weights:

C 10.01

Row

070

190%

C 10.01

Row

080

290%

C 10.01

Row

090

370%

C 10.01

Row

100

Internal models approach

C 10.01

Row

110

Equity exposures subject to risk weights

C 10.02

Column

005

Obligor grade

C 10.02

Column

008

Internal rating system

C 10.02

Column

010

PD assigned to the obligor grade or pool (%)

C 10.02

Column

020

Original exposure pre conversion factors

C 10.02

Column

028

Credit Risk Mitigation(CRM) techniques with substitution effects on the exposure

C 10.02

Column

029

Unfunded credit protection

C 10.02

Column

030

(-) Guarantees

C 10.02

Column

040

(-) Credit derivatives

C 10.02

Column

050

(-) Substitution of the exposure due to CRM (-) Total outflows

C 10.02

Column

060

Exposure value

C 10.02

Column

070

Exposure weighted average LGD (%)

C 10.02

Column

080

Risk weighted exposure amount

C 10.02

Column

090

Memorandum item: Expected loss amount

C 10.02

Row

999

Open

C 11.00

Column

010

Unsettled transactions at settlement price

C 11.00

Column

020

Price difference exposure due to unsettled transactions

C 11.00

Column

030

Own funds requirements

C 11.00

Column

040

Total settlement risk exposure amount

C 11.00

Row

010

Total unsettled transactions in the Non-trading Book

C 11.00

Row

020

Transactions unsettled up to 4 days (Factor 0%)

C 11.00

Row

030

Transactions unsettled between 5 and 15 days (Factor 8%)

C 11.00

Row

040

Transactions unsettled between 16 and 30 days (Factor 50%)

C 11.00

Row

050

Transactions unsettled between 31 and 45 days (Factor 75%)

C 11.00

Row

060

Transactions unsettled for 46 days or more (Factor 100%)

C 11.00

Row

070

Total unsettled transactions in the Trading Book

C 11.00

Row

080

Transactions unsettled up to 4 days (Factor 0%)

C 11.00

Row

090

Transactions unsettled between 5 and 15 days (Factor 8%)

C 11.00

Row

100

Transactions unsettled between 16 and 30 days (Factor 50%)

C 11.00

Row

110

Transactions unsettled between 31 and 45 days (Factor 75%)

C 11.00

Row

120

Transactions unsettled for 46 days or more (Factor 100%)

C 12.00

Column

010

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

C 12.00

Column

019

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

C 12.00

Column

020

(-) FUNDED CREDIT PROTECTION (Cva)

C 12.00

Column

029

(-) TOTAL OUTFLOWS

C 12.00

Column

030

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

C 12.00

Column

040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

C 12.00

Column

049

SECURITISATION POSITIONS

C 12.00

Column

050

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

C 12.00

Column

060

(-) VALUE ADJUSTMENTS AND PROVISIONS

C 12.00

Column

070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

C 12.00

Column

079

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

C 12.00

Column

080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

C 12.00

Column

090

(-) FUNDED CREDIT PROTECTION

C 12.00

Column

099

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

C 12.00

Column

100

(-) TOTAL OUTFLOWS

C 12.00

Column

110

TOTAL INFLOWS

C 12.00

Column

120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

C 12.00

Column

130

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

C 12.00

Column

140

FULLY ADJUSTED EXPOSURE VALUE (E*)

C 12.00

Column

149

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

C 12.00

Column

150

0%

C 12.00

Column

160

>0% and <=20%

C 12.00

Column

170

>20% and <=50%

C 12.00

Column

180

>50% and <=100%

C 12.00

Column

190

EXPOSURE VALUE

C 12.00

Column

200

(-) DEDUCTED FROM OWN FUNDS

C 12.00

Column

210

SUBJECT TO RISK WEIGHTS

C 12.00

Column

218

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

C 12.00

Column

219

RATED (CREDIT QUALITY STEPS)

C 12.00

Column

220

CQS 1

C 12.00

Column

230

CQS 2

C 12.00

Column

240

CQS 3

C 12.00

Column

250

CQS 4

C 12.00

Column

260

ALL OTHER CQS

C 12.00

Column

269

1250%

C 12.00

Column

270

UNRATED

C 12.00

Column

280

LOOK-THROUGH

C 12.00

Column

290

OF WHICH: SECOND LOSS IN ABCP

C 12.00

Column

300

OF WHICH: AVERAGE RISK WEIGHT (%)

C 12.00

Column

310

INTERNAL ASSESMENT APPROACH

C 12.00

Column

320

OF WHICH: AVERAGE RISK WEIGHT (%)

C 12.00

Column

330

RISK-WEIGHTED EXPOSURE AMOUNT

C 12.00

Column

340

OF WHICH: SYNTHETIC SECURITISATIONS

C 12.00

Column

350

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

C 12.00

Column

360

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

C 12.00

Column

369

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

C 12.00

Column

370

BEFORE CAP

C 12.00

Column

380

AFTER CAP

C 12.00

Column

390

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

C 12.00

Row

010

TOTAL EXPOSURES

C 12.00

Row

020

OF WHICH: RE-SECURITISATIONS

C 12.00

Row

030

ORIGINATOR: TOTAL EXPOSURES

C 12.00

Row

040

ON-BALANCE SHEET ITEMS

C 12.00

Row

050

SECURITISATIONS

C 12.00

Row

060

RE-SECURITISATIONS

C 12.00

Row

070

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 12.00

Row

080

SECURITISATIONS

C 12.00

Row

090

RE-SECURITISATIONS

C 12.00

Row

100

EARLY AMORTISATION

C 12.00

Row

110

INVESTOR: TOTAL EXPOSURES

C 12.00

Row

120

ON-BALANCE SHEET ITEMS

C 12.00

Row

130

SECURITISATIONS

C 12.00

Row

140

RE-SECURITISATIONS

C 12.00

Row

150

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 12.00

Row

160

SECURITISATIONS

C 12.00

Row

170

RE-SECURITISATIONS

C 12.00

Row

180

SPONSOR: TOTAL EXPOSURES

C 12.00

Row

190

ON-BALANCE SHEET ITEMS

C 12.00

Row

200

SECURITISATIONS

C 12.00

Row

210

RE-SECURITISATIONS

C 12.00

Row

220

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 12.00

Row

230

SECURITISATIONS

C 12.00

Row

240

RE-SECURITISATIONS

C 12.00

Row

249

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

C 12.00

Row

250

CQS 1

C 12.00

Row

260

CQS 2

C 12.00

Row

270

CQS 3

C 12.00

Row

280

CQS 4

C 12.00

Row

290

ALL OTHER CQS AND UNRATED

C 13.00

Column

010

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

C 13.00

Column

019

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

C 13.00

Column

020

(-) FUNDED CREDIT PROTECTION (Cva)

C 13.00

Column

029

(-) TOTAL OUTFLOWS

C 13.00

Column

030

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

C 13.00

Column

040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

C 13.00

Column

049

SECURITISATION POSITIONS

C 13.00

Column

050

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

C 13.00

Column

059

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

C 13.00

Column

060

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

C 13.00

Column

070

(-) FUNDED CREDIT PROTECTION

C 13.00

Column

079

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

C 13.00

Column

080

(-) TOTAL OUTFLOWS

C 13.00

Column

090

TOTAL INFLOWS

C 13.00

Column

100

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

C 13.00

Column

110

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

C 13.00

Column

120

FULLY ADJUSTED EXPOSURE VALUE (E*)

C 13.00

Column

129

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

C 13.00

Column

130

0%

C 13.00

Column

140

>0% and <=20%

C 13.00

Column

150

>20% and <=50%

C 13.00

Column

160

>50% and <=100%

C 13.00

Column

170

EXPOSURE VALUE

C 13.00

Column

180

(-) DEDUCTED FROM OWN FUNDS

C 13.00

Column

190

SUBJECT TO RISK WEIGHTS

C 13.00

Column

198

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

C 13.00

Column

199

RATED (CREDIT QUALITY STEPS)

C 13.00

Column

200

CQS 1 & S/T CQS 1

C 13.00

Column

210

CQS 2

C 13.00

Column

220

CQS 3

C 13.00

Column

230

CQS 4 & S/T CQS 2

C 13.00

Column

240

CQS 5

C 13.00

Column

250

CQS 6

C 13.00

Column

260

CQS 7 & S/T CQS 3

C 13.00

Column

270

CQS 8

C 13.00

Column

280

CQS 9

C 13.00

Column

290

CQS 10

C 13.00

Column

300

CQS 11

C 13.00

Column

310

ALL OTHER CQS

C 13.00

Column

319

1250%

C 13.00

Column

320

UNRATED

C 13.00

Column

330

SUPERVISORY FORMULA METHOD

C 13.00

Column

340

AVERAGE RISK WEIGHT (%)

C 13.00

Column

350

LOOK-THROUGH

C 13.00

Column

360

OF WHICH: AVERAGE RISK WEIGHT (%)

C 13.00

Column

370

INTERNAL ASSESSMENT APPROACH

C 13.00

Column

380

OF WHICH: AVERAGE RISK WEIGHT (%)

C 13.00

Column

390

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

C 13.00

Column

400

RISK-WEIGHTED EXPOSURE AMOUNT

C 13.00

Column

410

OF WHICH: SYNTHETIC SECURITISATIONS

C 13.00

Column

420

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

C 13.00

Column

430

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

C 13.00

Column

439

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

C 13.00

Column

440

BEFORE CAP

C 13.00

Column

450

AFTER CAP

C 13.00

Column

460

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

C 13.00

Row

010

TOTAL EXPOSURES

C 13.00

Row

020

OF WHICH: RE-SECURITISATIONS

C 13.00

Row

030

ORIGINATOR: TOTAL EXPOSURES

C 13.00

Row

040

ON-BALANCE SHEET ITEMS

C 13.00

Row

049

SECURITISATIONS

C 13.00

Row

050

A

C 13.00

Row

060

B

C 13.00

Row

070

C

C 13.00

Row

079

RE-SECURITISATIONS

C 13.00

Row

080

D

C 13.00

Row

090

E

C 13.00

Row

100

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 13.00

Row

109

SECURITISATIONS

C 13.00

Row

110

A

C 13.00

Row

120

B

C 13.00

Row

130

C

C 13.00

Row

139

RE-SECURITISATIONS

C 13.00

Row

140

D

C 13.00

Row

150

E

C 13.00

Row

160

EARLY AMORTISATION

C 13.00

Row

170

INVESTOR: TOTAL EXPOSURES

C 13.00

Row

180

ON-BALANCE SHEET ITEMS

C 13.00

Row

189

SECURITISATIONS

C 13.00

Row

190

A

C 13.00

Row

200

B

C 13.00

Row

210

C

C 13.00

Row

219

RE-SECURITISATIONS

C 13.00

Row

220

D

C 13.00

Row

230

E

C 13.00

Row

240

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 13.00

Row

249

SECURITISATIONS

C 13.00

Row

250

A

C 13.00

Row

260

B

C 13.00

Row

270

C

C 13.00

Row

279

RE-SECURITISATIONS

C 13.00

Row

280

D

C 13.00

Row

290

E

C 13.00

Row

300

SPONSOR: TOTAL EXPOSURES

C 13.00

Row

310

ON-BALANCE SHEET ITEMS

C 13.00

Row

319

SECURITISATIONS

C 13.00

Row

320

A

C 13.00

Row

330

B

C 13.00

Row

340

C

C 13.00

Row

349

RE-SECURITISATIONS

C 13.00

Row

350

D

C 13.00

Row

360

E

C 13.00

Row

370

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 13.00

Row

379

SECURITISATIONS

C 13.00

Row

380

A

C 13.00

Row

390

B

C 13.00

Row

400

C

C 13.00

Row

409

RE-SECURITISATIONS

C 13.00

Row

410

D

C 13.00

Row

420

E

C 13.00

Row

429

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

C 13.00

Row

430

CQS 1 & S/T CQS 1

C 13.00

Row

440

CQS 2

C 13.00

Row

450

CQS 3

C 13.00

Row

460

CQS 4 & S/T CQS 2

C 13.00

Row

470

CQS 5

C 13.00

Row

480

CQS 6

C 13.00

Row

490

CQS 7 & S/T CQS 3

C 13.00

Row

500

CQS 8

C 13.00

Row

510

CQS 9

C 13.00

Row

520

CQS 10

C 13.00

Row

530

CQS 11

C 13.00

Row

540

ALL OTHER CQS

C 14.00

Column

005

ROW NUMBER

C 14.00

Column

010

INTERNAL CODE

C 14.00

Column

020

IDENTIFIER OF THE SECURITISATION

C 14.00

Column

030

IDENTIFIER OF THE ORIGINATOR

C 14.00

Column

040

SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)

C 14.00

Column

050

ACCOUNTING TREATMENT: Securitised assets are kept or removed from the balance sheet?

C 14.00

Column

060

SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?

C 14.00

Column

070

SECURITISATION OR RE-SECURITISATION ?

C 14.00

Column

079

RETENTION

C 14.00

Column

080

TYPE OF RETENTION APPLIED

C 14.00

Column

090

% OF RETENTION AT REPORTING DATE

C 14.00

Column

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

C 14.00

Column

110

ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

C 14.00

Column

119

NON-ABCP PROGRAMMES

C 14.00

Column

120

ORIGINATION DATE

C 14.00

Column

130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

C 14.00

Column

139

SECURITISED EXPOSURES

C 14.00

Column

140

TOTAL AMOUNT

C 14.00

Column

150

INSTITUTION'S SHARE (%)

C 14.00

Column

160

TYPE

C 14.00

Column

170

Approach APPLIED (SA/IRB/MIX)

C 14.00

Column

180

NUMBER OF EXPOSURES

C 14.00

Column

190

COUNTRY

C 14.00

Column

200

ELGD (%)

C 14.00

Column

210

(-) VALUE ADJUSTMENTS AND PROVISIONS

C 14.00

Column

220

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

C 14.00

Column

228

SECURITISATION STRUCTURE

C 14.00

Column

229

ON-BALANCE SHEET ITEMS

C 14.00

Column

230

SENIOR

C 14.00

Column

240

MEZZANINE

C 14.00

Column

250

FIRST LOSS

C 14.00

Column

259

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 14.00

Column

260

SENIOR

C 14.00

Column

270

MEZZANINE

C 14.00

Column

280

FIRST LOSS

C 14.00

Column

289

MATURITY

C 14.00

Column

290

FIRST FORESEEABLE TERMINATION DATE

C 14.00

Column

300

LEGAL FINAL MATURITY DATE

C 14.00

Column

302

SECURITISATION POSITIONS

C 14.00

Column

304

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

C 14.00

Column

306

ON-BALANCE SHEET ITEMS

C 14.00

Column

310

SENIOR

C 14.00

Column

320

MEZZANINE

C 14.00

Column

330

FIRST LOSS

C 14.00

Column

339

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 14.00

Column

340

SENIOR

C 14.00

Column

350

MEZZANINE

C 14.00

Column

360

FIRST LOSS

C 14.00

Column

369

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

C 14.00

Column

370

DIRECT CREDIT SUBSTITUTES

C 14.00

Column

380

IRS / CRS

C 14.00

Column

390

ELIGIBLE LIQUIDITY FACILITIES

C 14.00

Column

400

OTHER (including non-eligible LF)

C 14.00

Column

405

EARLY AMORTISATION

C 14.00

Column

410

CONVERSION FACTOR APPLIED

C 14.00

Column

420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

C 14.00

Column

429

TOTAL RISK WEIGHTED EXPOSURE AMOUNT

C 14.00

Column

430

BEFORE CAP

C 14.00

Column

440

AFTER CAP

C 14.00

Column

449

SECURITISATION POSITIONS - TRADING BOOK

C 14.00

Column

450

CTP OR NON-CTP?

C 14.00

Column

459

NET POSITIONS

C 14.00

Column

460

LONG

C 14.00

Column

470

SHORT

C 14.00

Column

479

TOTAL OWN FUNDS REQUIREMENTS (SA)

C 14.00

Column

480

SPECIFIC RISK

C 14.00

Row

999

Open

C 15.00

Column

005

Losses

C 15.00

Column

010

Sum of losses stemming from lending up to the reference percentages

C 15.00

Column

020

of which: immovable property valued with mortgage lending value

C 15.00

Column

030

Sum of overall losses

C 15.00

Column

040

of which: immovable property valued with mortgage lending value

C 15.00

Column

045

Exposures

C 15.00

Column

050

Sum of the exposures

C 15.00

Row

010

collateralised by: Residential property

C 15.00

Row

020

collateralised by: Commercial immovable property

C 15.00

Sheet

999

Country

C 16.00.a

Column

010

RELEVANT INDICATOR YEAR-3

C 16.00.a

Column

020

RELEVANT INDICATOR YEAR-2

C 16.00.a

Column

030

RELEVANT INDICATOR LAST YEAR

C 16.00.a

Column

040

LOANS AND ADVANCES YEAR-3

C 16.00.a

Column

050

LOANS AND ADVANCES YEAR-2

C 16.00.a

Column

060

LOANS AND ADVANCES LAST YEAR

C 16.00.a

Column

070

Own funds requirements

C 16.00.a

Column

071

Total operational risk exposure amount

C 16.00.a

Row

010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR Approach(BIA)

C 16.00.a

Row

020

BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES

C 16.00.a

Row

025

Subject to TSA

C 16.00.a

Row

030

CORPORATE FINANCE (CF)

C 16.00.a

Row

040

TRADING AND SALES (TS)

C 16.00.a

Row

050

RETAIL BROKERAGE (RBr)

C 16.00.a

Row

060

COMMERCIAL BANKING (CB)

C 16.00.a

Row

070

RETAIL BANKING (RB)

C 16.00.a

Row

080

PAYMENT AND SETTLEMENT (PS)

C 16.00.a

Row

090

AGENCY SERVICES (AS)

C 16.00.a

Row

100

ASSET MANAGEMENT (AM)

C 16.00.a

Row

110

COMMERCIAL BANKING (CB)

C 16.00.a

Row

120

RETAIL BANKING (RB)

C 16.00.b

Column

010

RELEVANT INDICATOR YEAR-3

C 16.00.b

Column

020

RELEVANT INDICATOR YEAR-2

C 16.00.b

Column

030

RELEVANT INDICATOR LAST YEAR

C 16.00.b

Column

070

Own funds requirements

C 16.00.b

Column

071

Total operational risk exposure amount

C 16.00.b

Column

075

AMA memorandum items

C 16.00.b

Column

080

OF WHICH: DUE TO AN ALLOCATION MECHANISM

C 16.00.b

Column

090

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

C 16.00.b

Column

100

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

C 16.00.b

Column

110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

C 16.00.b

Column

120

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

C 16.00.b

Row

125

Subject to ASA

C 16.00.b

Row

130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

C 17.00.a

Column

005

Event types

C 17.00.a

Column

010

INTERNAL FRAUD

C 17.00.a

Column

020

EXTERNAL FRAUD

C 17.00.a

Column

030

EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

C 17.00.a

Column

040

CLIENTS, PRODUCTS & BUSINESS PRACTICES

C 17.00.a

Column

050

DAMAGE TO PHYSICAL ASSETS

C 17.00.a

Column

060

BUSINESS DISRUPTION AND SYSTEM FAILURES

C 17.00.a

Column

070

EXECUTION, DELIVERY & PROCESS MANAGEMENT

C 17.00.a

Column

080

TOTAL EVENT TYPES

C 17.00.a

Row

009

CORPORATE FINANCE [CF]

C 17.00.a

Row

010

Number of events

C 17.00.a

Row

020

Total loss amount

C 17.00.a

Row

030

Maximum single loss

C 17.00.a

Row

040

Sum of the five largest losses

C 17.00.a

Row

109

TRADING AND SALES [TS]

C 17.00.a

Row

110

Number of events

C 17.00.a

Row

120

Total loss amount

C 17.00.a

Row

130

Maximum single loss

C 17.00.a

Row

140

Sum of the five largest losses

C 17.00.a

Row

209

RETAIL BROKERAGE [RBr]

C 17.00.a

Row

210

Number of events

C 17.00.a

Row

220

Total loss amount

C 17.00.a

Row

230

Maximum single loss

C 17.00.a

Row

240

Sum of the five largest losses

C 17.00.a

Row

309

COMMERCIAL BANKING [CB]

C 17.00.a

Row

310

Number of events

C 17.00.a

Row

320

Total loss amount

C 17.00.a

Row

330

Maximum single loss

C 17.00.a

Row

340

Sum of the five largest losses

C 17.00.a

Row

409

RETAIL BANKING [RB]

C 17.00.a

Row

410

Number of events

C 17.00.a

Row

420

Total loss amount

C 17.00.a

Row

430

Maximum single loss

C 17.00.a

Row

440

Sum of the five largest losses

C 17.00.a

Row

509

PAYMENT AND SETTLEMENT [PS]

C 17.00.a

Row

510

Number of events

C 17.00.a

Row

520

Total loss amount

C 17.00.a

Row

530

Maximum single loss

C 17.00.a

Row

540

Sum of the five largest losses

C 17.00.a

Row

609

AGENCY SERVICES [AS]

C 17.00.a

Row

610

Number of events

C 17.00.a

Row

620

Total loss amount

C 17.00.a

Row

630

Maximum single loss

C 17.00.a

Row

640

Sum of the five largest losses

C 17.00.a

Row

709

ASSET MANAGEMENT [AM]

C 17.00.a

Row

710

Number of events

C 17.00.a

Row

720

Total loss amount

C 17.00.a

Row

730

Maximum single loss

C 17.00.a

Row

740

Sum of the five largest losses

C 17.00.a

Row

809

CORPORATE ITEMS [CI]

C 17.00.a

Row

810

Number of events

C 17.00.a

Row

820

Total loss amount

C 17.00.a

Row

830

Maximum single loss

C 17.00.a

Row

840

Sum of the five largest losses

C 17.00.a

Row

909

TOTAL BUSINESS LINES

C 17.00.a

Row

910

Number of events

C 17.00.a

Row

920

Total loss amount

C 17.00.a

Row

930

Maximum single loss

C 17.00.a

Row

940

Sum of the five largest losses

C 17.00.b

Column

090

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION lowest

C 17.00.b

Column

100

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION highest

C 17.00.b

Row

019

CORPORATE FINANCE [CF]

C 17.00.b

Row

020

Total loss amount

C 17.00.b

Row

119

TRADING AND SALES [TS]

C 17.00.b

Row

120

Total loss amount

C 17.00.b

Row

219

RETAIL BROKERAGE [RBr]

C 17.00.b

Row

220

Total loss amount

C 17.00.b

Row

319

COMMERCIAL BANKING [CB]

C 17.00.b

Row

320

Total loss amount

C 17.00.b

Row

419

RETAIL BANKING [RB]

C 17.00.b

Row

420

Total loss amount

C 17.00.b

Row

519

PAYMENT AND SETTLEMENT [PS]

C 17.00.b

Row

520

Total loss amount

C 17.00.b

Row

619

AGENCY SERVICES [AS]

C 17.00.b

Row

620

Total loss amount

C 17.00.b

Row

719

ASSET MANAGEMENT [AM]

C 17.00.b

Row

720

Total loss amount

C 17.00.b

Row

819

CORPORATE ITEMS [CI]

C 17.00.b

Row

820

Total loss amount

C 17.00.b

Row

919

TOTAL BUSINESS LINES

C 17.00.b

Row

920

Total loss amount

C 18.00

Column

008

Positions

C 18.00

Column

009

All positions

C 18.00

Column

010

Long

C 18.00

Column

020

Short

C 18.00

Column

029

Net positions

C 18.00

Column

030

Long

C 18.00

Column

040

Short

C 18.00

Column

050

Positions subject to capital charge

C 18.00

Column

060

Own funds requirements

C 18.00

Column

070

Total risk exposure amount

C 18.00

Row

010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

C 18.00

Row

011

General risk

C 18.00

Row

012

Derivatives

C 18.00

Row

013

Other assets and liabilities

C 18.00

Row

020

Maturity-based approach

C 18.00

Row

030

Zone 1

C 18.00

Row

040

0 <= 1 month

C 18.00

Row

050

> 1 <= 3 months

C 18.00

Row

060

> 3 <= 6 months

C 18.00

Row

070

> 6 <= 12 months

C 18.00

Row

080

1.2 Zone 2

C 18.00

Row

090

> 1 <= 2 (1,9 for coupon of less than 3%) years

C 18.00

Row

100

> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years

C 18.00

Row

110

> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years

C 18.00

Row

120

1.3 Zone 3

C 18.00

Row

130

> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years

C 18.00

Row

140

> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years

C 18.00

Row

150

> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years

C 18.00

Row

160

> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years

C 18.00

Row

170

> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years

C 18.00

Row

180

> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years

C 18.00

Row

190

> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years

C 18.00

Row

200

> 20 (> 20 for coupon of less than 3%) years

C 18.00

Row

210

Duration-based approach

C 18.00

Row

220

Zone 1

C 18.00

Row

230

Zone 2

C 18.00

Row

240

Zone 3

C 18.00

Row

250

Specific risk

C 18.00

Row

251

Own funds requirement for non-securitisation debt instruments

C 18.00

Row

260

Debt securities under the first category

C 18.00

Row

270

Debt securities under the second category

C 18.00

Row

280

With residual term <= 6 months

C 18.00

Row

290

With a residual term > 6 months and <= 24 months

C 18.00

Row

300

With a residual term > 24 months

C 18.00

Row

310

Debt securities under the third category

C 18.00

Row

320

Debt securities under the fourth category

C 18.00

Row

321

Rated nth-to default credit derivatives

C 18.00

Row

325

Own funds requirement for securitisation instruments

C 18.00

Row

330

Own funds requirement for the correlation trading portfolio

C 18.00

Row

340

Particular Approach for position risk in CIUs

C 18.00

Row

350

Additional requirements for options (non-delta risks)

C 18.00

Row

360

Simplified method

C 18.00

Row

370

Delta plus approach - additional requirements for gamma risk

C 18.00

Row

380

Delta plus approach - additional requirements for vega risk

C 18.00

Row

390

Scenario matrix approach

C 18.00

Sheet

001

Total

C 18.00

Sheet

002

Euro

C 18.00

Sheet

003

Lek

C 18.00

Sheet

004

Bulgarian Lev

C 18.00

Sheet

005

Czech Koruna

C 18.00

Sheet

006

Danish Krone

C 18.00

Sheet

007

Pound Sterling

C 18.00

Sheet

008

Forint

C 18.00

Sheet

009

Yen

C 18.00

Sheet

010

Latvian Lats

C 18.00

Sheet

011

Lithuanian Litas

C 18.00

Sheet

012

Denar

C 18.00

Sheet

013

Zloty

C 18.00

Sheet

014

Romanian Leu

C 18.00

Sheet

015

Russian Ruble

C 18.00

Sheet

016

Serbian Dinar

C 18.00

Sheet

017

Swedish Krona

C 18.00

Sheet

018

Swiss Franc

C 18.00

Sheet

019

Turkish Lira

C 18.00

Sheet

020

Hryvnia

C 18.00

Sheet

021

US Dollar

C 18.00

Sheet

022

Iceland Krona

C 18.00

Sheet

023

Norwegian Krone

C 18.00

Sheet

024

Egyptian Pound

C 18.00

Sheet

025

Other

C 19.00

Column

009

All positions

C 19.00

Column

010

Long

C 19.00

Column

020

Short

C 19.00

Column

029

(-) POSITIONS DEDUCTED FROM OWN FUNDS

C 19.00

Column

030

(-) Long

C 19.00

Column

040

(-) Short

C 19.00

Column

049

Net positions

C 19.00

Column

050

Long

C 19.00

Column

060

Short

C 19.00

Column

068

BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS

C 19.00

Column

069

RISK WEIGHTS < 1250%

C 19.00

Column

070

7 - 10%

C 19.00

Column

080

12 - 18%

C 19.00

Column

090

20 - 35%

C 19.00

Column

100

40 - 75%

C 19.00

Column

110

100%

C 19.00

Column

120

150%

C 19.00

Column

130

200%

C 19.00

Column

140

225%

C 19.00

Column

150

250%

C 19.00

Column

160

300%

C 19.00

Column

170

350%

C 19.00

Column

180

425%

C 19.00

Column

190

500%

C 19.00

Column

200

650%

C 19.00

Column

210

750%

C 19.00

Column

220

850%

C 19.00

Column

229

1250%

C 19.00

Column

230

RATED

C 19.00

Column

240

UNRATED

C 19.00

Column

250

SUPERVISORY FORMULA METHOD

C 19.00

Column

260

AVERAGE RISK WEIGHT (%)

C 19.00

Column

270

LOOK-THROUGH

C 19.00

Column

280

INTERNAL ASSESMENT APPROACH

C 19.00

Column

290

AVERAGE RISK WEIGHT (%)

C 19.00

Column

298

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS

C 19.00

Column

299

RISK WEIGHTS < 1250%

C 19.00

Column

300

7 - 10%

C 19.00

Column

310

12 - 18%

C 19.00

Column

320

20 - 35%

C 19.00

Column

330

40 - 75%

C 19.00

Column

340

100%

C 19.00

Column

350

150%

C 19.00

Column

360

200%

C 19.00

Column

370

225%

C 19.00

Column

380

250%

C 19.00

Column

390

300%

C 19.00

Column

400

350%

C 19.00

Column

410

425%

C 19.00

Column

420

500%

C 19.00

Column

430

650%

C 19.00

Column

440

750%

C 19.00

Column

450

850%

C 19.00

Column

459

1250%

C 19.00

Column

460

RATED

C 19.00

Column

470

UNRATED

C 19.00

Column

480

SUPERVISORY FORMULA METHOD

C 19.00

Column

490

AVERAGE RISK WEIGHT (%)

C 19.00

Column

500

LOOK-THROUGH

C 19.00

Column

510

INTERNAL ASSESMENT APPROACH

C 19.00

Column

520

AVERAGE RISK WEIGHT (%)

C 19.00

Column

529

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

C 19.00

Column

530

WEIGHTED NET LONG POSITIONS

C 19.00

Column

540

WEIGHTED NET SHORT POSITIONS

C 19.00

Column

549

BEFORE CAP

C 19.00

Column

550

WEIGHTED NET LONG POSITIONS

C 19.00

Column

560

WEIGHTED NET SHORT POSITIONS

C 19.00

Column

570

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

C 19.00

Column

579

AFTER CAP

C 19.00

Column

580

WEIGHTED NET LONG POSITIONS

C 19.00

Column

590

WEIGHTED NET SHORT POSITIONS

C 19.00

Column

600

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

C 19.00

Column

610

OWN FUNDS REQUIREMENTS

C 19.00

Row

010

TOTAL EXPOSURES

C 19.00

Row

020

Of which: RE-SECURITISATIONS

C 19.00

Row

030

ORIGINATOR: TOTAL EXPOSURES

C 19.00

Row

040

SECURITISATIONS

C 19.00

Row

050

RE-SECURITISATIONS

C 19.00

Row

060

INVESTOR: TOTAL EXPOSURES

C 19.00

Row

070

SECURITISATIONS

C 19.00

Row

080

RE-SECURITISATIONS

C 19.00

Row

090

SPONSOR: TOTAL EXPOSURES

C 19.00

Row

100

SECURITISATIONS

C 19.00

Row

110

RE-SECURITISATIONS